Aim To determine whether physiological, rhythmic fluctuations of vagal baroreflex gain persist during exercise, post‐exercise ischaemia and recovery. Methods We studied responses of six supine healthy men and one woman to a stereotyped protocol comprising rest, handgrip exercise at 40% maximum capacity to exhaustion, post‐exercise forearm ischaemia and recovery. We measured electrocardiographic R‐R intervals, photoplethysmographic finger arterial pressures and peroneal nerve muscle sympathetic activity. We derived vagal baroreflex gains from a sliding (25‐s window moved by 2‐s steps) systolic pressure–R‐R interval transfer function at 0.04–0.15 Hz. Results Vagal baroreflex gain oscillated at low, nearly constant frequencies throughout the protocol (at approx. 0.06 Hz – a period of about 18 s); however, during exercise, most oscillations were at low‐gain levels, and during ischaemia and recovery, most oscillations were at high‐gain levels. Conclusions Vagal baroreflex rhythms are not abolished by exercise, and they are not overwhelmed after exercise during ischaemia and recovery.